The Joint Dynamics and Stability of Stock Prices and Volume

Blake Lebaron ()

Working papers from University of Wisconsin - Madison

Abstract: This paper examines the joint process for volume and volatility. Locallinear models are used to analyze stability of the joint processes in different regions of volatility-volume space. It is found that this way of looking at the series changes dramatically the results found by using a global linear approach. The estimated model for volume and volatility shows that some small shocks may be temporarily amplified, but they will eventually dissapate.

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